Lambert took heart from his side's second-half performance, when striker Christian Benteke spurned several chances.
He said: "I can't fault them for the second half. They were relentless. We had loads of chances.
"They gave us everything and we've beaten by a penalty that wasn't one.
"On another day Christian scores but, to be fair to the big guy, he has pulled us out of trouble loads of times this year.
"You can't have a blame culture. You are in it together and win and lose together."